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arXiv · 1411.7494

An Evolutionary Optimization Approach to Risk Parity Portfolio Selection

Ronald Hochreiter
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Abstract

In this paper we present an evolutionary optimization approach to solve the risk parity portfolio selection problem. While there exist convex optimization approaches to solve this problem when long-only portfolios are considered, the optimization problem becomes non-trivial in the long-short case. To solve this problem, we propose a genetic algorithm as well as a local search heuristic. This algorithmic framework is able to compute solutions successfully. Numerical results using real-world data substantiate the practicability of the approach presented in this paper.

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Ronald Hochreiter. 2014-11-27. An Evolutionary Optimization Approach to Risk Parity Portfolio Selection. https://doi.org/10.1007/978-3-319-16549-3_23

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